Similar Search Results

Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"

Sanchez, Benito - 2007

This dissertation consists of two essays on predictability of asset prices. "Benchmarking problems and long horizon …

Persistent link: https://www.econbiz.de/10009451119

House Prices, Expectations, and Time-Varying Fundamentals

Gelain, Paolo; Lansing, Kevin J. - 2013

We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence and volatility in the stochastic process for rent growth, consistent with...

Persistent link: https://www.econbiz.de/10012143817

Predictability and the cross-section of expected returns: A challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...

Persistent link: https://www.econbiz.de/10012271695

Direct Preference for Wealth in Aggregate Household Portfolio

St-Amour, Pascal - Départment d'économétrie et d'économie politique … - 2005

According to standard theory, wealth should have no intrinsic value. Yet, conventional wisdom, recent theories, and data suggest it might. We verify whether or not households have direct preferences over wealth in selecting assets. The fully structural econometric model focuses on a multivariate...

Persistent link: https://www.econbiz.de/10005518839

Asset pricing with adaptive learning

Poveda, Eva Carceles; Giannitsarou, Chryssi - Society for Computational Economics - SCE - 2006

, constant gain learning may sometimes contribute towards explaining the stock price volatility and the predictability of excess …

Persistent link: https://www.econbiz.de/10005537401

Conditional Asset Pricing in Emerging Stock Markets

Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) IV, pp. 507-526

predictability can be explained by time-variation in economic risk premiums. Instead of testing a traditional beta pricing model, we …

Persistent link: https://www.econbiz.de/10005427449

A Consumption-Based Approach to Exchange Rate Predictability

Ojeda-Joya, Jair N. - BANCO DE LA REPÚBLICA - 2014

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests …-term predictability on the bilateral rates of 15 out of 17 countries vis-à-vis the US over the post Bretton-Woods float. A GMM estimation …

Persistent link: https://www.econbiz.de/10011098121

Expectations-Based Reference-Dependent Preferences and Asset Pricing

Pagel, Michaela - Volkswirtschaftliche Fakultät, … - 2012

returns, and predictability. The level and variation in the equity premium and the predictability in returns match historical …

Persistent link: https://www.econbiz.de/10011107734

Ratchet vs Blasé Investors and Asset Markets

St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2004

His paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) consumption level is a function of wealth. Ratchet effects obtain when higher wealth increases the subsistance consumption level; blasé behavior...

Persistent link: https://www.econbiz.de/10005100831

Short-term returns and the predictability of Finnish stock returns

Vaihekoski, Mika - Volkswirtschaftliche Fakultät, … - 1998

The predictability of Finnish stock returns is studied using the framework of Ferson and Harvey (1993). We use a … variables. In particular, we study the effect of the return interval on the predictability of short-term stock returns. Using … daily, weekly, and monthly Finnish size and industry-sorted portfolio returns, we find that the predictability of returns …

Persistent link: https://www.econbiz.de/10005621569